Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0209
Annualized Std Dev 0.0981
Annualized Sharpe (Rf=0%) -0.2126

Row

Daily Return Statistics

Close
Observations 3702.0000
NAs 1.0000
Minimum -0.0836
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0034
Maximum 0.0316
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0062
Skewness -1.0839
Kurtosis 13.2484

Downside Risk

Close
Semi Deviation 0.0046
Gain Deviation 0.0039
Loss Deviation 0.0047
Downside Deviation (MAR=210%) 0.0103
Downside Deviation (Rf=0%) 0.0046
Downside Deviation (0%) 0.0046
Maximum Drawdown 0.4736
Historical VaR (95%) -0.0091
Historical ES (95%) -0.0143
Modified VaR (95%) -0.0103
Modified ES (95%) -0.0264
From Trough To Depth Length To Trough Recovery
2007-11-09 2020-03-23 NA -0.4736 3363 3112 NA
2007-07-25 2007-08-16 2007-10-29 -0.0396 68 17 51
2007-01-24 2007-03-05 2007-04-13 -0.0320 56 28 28
2006-08-31 2006-10-10 2006-10-31 -0.0284 39 25 14
2006-12-04 2007-01-05 2007-01-22 -0.0246 32 22 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.9 0.2 -0.1 -0.1 -0.2 0.4 -0.1 1
2007 -0.2 -0.5 0.2 -0.4 -0.3 0.4 -0.5 0.3 -0.5 -0.4 -0.1 -0.3 -2.2
2008 -1.5 -0.3 -0.9 -1 0.3 -0.2 -0.8 -0.4 -0.9 -2.5 -3.8 1.1 -10.3
2009 1.2 0.1 0.6 0.8 1.7 0.1 1.3 -0.7 -0.3 -0.7 1 0.5 5.7
2010 -0.2 -1.7 0.7 -0.2 1.3 1.6 0.5 0.8 0.8 0.1 0.4 1.6 5.8
2011 0.8 0 0.4 0.4 -0.7 0.1 -0.7 -0.3 -0.2 -0.9 -0.1 0.8 -0.4
2012 0.5 0.3 0.3 0 -0.3 0.9 -0.9 0.6 -0.1 -0.1 -0.1 0.5 1.5
2013 -1 -1 0.2 0.1 -0.2 0.1 -0.6 -0.1 0.1 -0.7 0.5 0.4 -2.2
2014 -0.2 0.3 -0.2 0.1 0.2 0.2 -0.4 0.1 -0.2 -0.2 0.8 0.2 0.6
2015 0 0.2 -0.1 -1.4 -0.6 -0.6 0.1 -0.2 0.1 0.7 0.2 -0.5 -2.1
2016 1.3 0.2 -1 0 -0.5 -0.2 -0.4 1 0 -0.1 0.7 0.5 1.5
2017 0.6 -1 0.5 -0.5 0 0.2 0.1 0.2 -0.3 -0.3 -0.4 0.4 -0.5
2018 0.5 0.1 -0.3 -1.1 0.4 0.9 0 -0.5 0.1 1.8 -0.3 0.4 1.9
2019 -0.3 -0.5 0.7 0 0.2 -0.5 -0.1 -0.1 0.1 -0.1 0.2 1.1 0.9
2020 0.8 -0.5 -0.3 -0.7 1.2 0.7 0 0.1 -0.2 0.2 0.7 0.4 2.5
2021 -0.3 -0.1 -0.4 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart